The Dividend Policy and Behavior of Stock Prices (Redemption of Stock, Dividend Initiation, etc.)

Student: Uvarovskiy Yury

Educational Programme: Financial Engineering (Master)

Year of Graduation: 2017

In this work, the effect of dividend payments on the dynamics of stock prices from the point of view of various dividend theories is considered. The review section contains scientific works by foreign and domestic authors relating to the dividend theory. The research study Russian stock market in 2013-2016. The key investigated parameter in this research is the drop-off-ratio. The paper attaches importance to influence of tax treatment on the behavior of stock prices after reinvestment date. Econometric research helped to reflect the rate of attenuation of this impact strong correlation between DOR and dividend yield was not revealed. Based on the rate of attenuation and autocorrelation, a regression model was obtained, with which the value of the drawdown after the ex-dividend date was predicted. In addition, an investment strategy based on the model was proposed.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses